Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0136 |
| Annualized Std Dev | 0.1695 |
| Annualized Sharpe (Rf=0%) | -0.0799 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4385.0000 |
| NAs | 1.0000 |
| Minimum | -0.1322 |
| Quartile 1 | -0.0033 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0039 |
| Maximum | 0.1083 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0107 |
| Skewness | -1.5676 |
| Kurtosis | 32.2099 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0082 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0103 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5658 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0266 |
| Modified VaR (95%) | -0.0149 |
| Modified ES (95%) | -0.0149 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-10 | 2008-12-16 | 2012-10-08 | -0.5658 | 1366 | 406 | 960 |
| 2013-01-29 | 2020-03-18 | NA | -0.4850 | 2051 | 1797 | NA |
| 2004-03-18 | 2004-06-29 | 2006-10-24 | -0.1553 | 657 | 71 | 586 |
| 2012-11-09 | 2012-11-15 | 2013-01-28 | -0.0805 | 53 | 5 | 48 |
| 2003-11-19 | 2003-12-29 | 2004-03-17 | -0.0397 | 81 | 27 | 54 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | -0.7 | -0.1 | -1.1 |
| 2004 | 0.3 | 0.2 | -0.3 | 0.4 | 0.3 | 2.5 | 1.2 | 0.4 | 0 | 0.9 | 0.4 | 0.7 | 7.2 |
| 2005 | 0.5 | 0.5 | 0.4 | 0.7 | 0.2 | -0.1 | 0.3 | 0.3 | 0.3 | 0.4 | 0.4 | 0.5 | 4.4 |
| 2006 | -0.3 | -0.3 | 0.5 | 0.3 | 0.7 | 0.1 | 0.6 | 0.6 | 0.3 | 0.1 | 0.8 | 0.4 | 3.8 |
| 2007 | 0.7 | 0.6 | -0.1 | 0.1 | 0.3 | 0.1 | -0.3 | -0.4 | 0.1 | 0.1 | 0.6 | -0.1 | 1.6 |
| 2008 | 0.1 | -1.5 | 1 | -0.4 | -0.5 | 0 | 0.3 | 0 | 4.4 | -3.4 | 1 | 1.7 | 2.4 |
| 2009 | 2.4 | -1.1 | 2.2 | 1.9 | -0.1 | 1.5 | 0.4 | 1.1 | 0.2 | -0.8 | 0.1 | 0.8 | 8.8 |
| 2010 | 0.1 | 0.9 | -0.1 | -0.4 | 0.1 | -0.5 | 0.7 | 0.2 | 0.9 | 0.3 | -0.4 | 1.9 | 3.8 |
| 2011 | 1.1 | -0.1 | 0.4 | 0.7 | 0.3 | 0.1 | 2.2 | -0.1 | 0.2 | 0.4 | 0 | 0.2 | 5.7 |
| 2012 | -0.1 | 0.8 | 0.2 | 0.1 | 0.1 | 0.5 | -0.3 | 0.2 | 0.1 | 0.4 | 0.1 | 0.5 | 2.7 |
| 2013 | 0.1 | 0.6 | 0.3 | -0.2 | -1.4 | -0.3 | -0.3 | -0.8 | 0 | -1.5 | 0.5 | 0.1 | -3 |
| 2014 | 0.6 | 0.3 | 0.1 | 0.9 | 0.2 | 0 | 1.1 | -0.1 | 1 | 0 | -0.8 | -0.1 | 3.2 |
| 2015 | 0.1 | 0.5 | -0.1 | -0.3 | -0.1 | 0 | 0.9 | -0.6 | 0.2 | -0.1 | 0.4 | 0.2 | 1.1 |
| 2016 | 0.9 | 0.2 | -0.4 | -0.1 | 0.4 | 0.3 | -0.1 | 0 | 0.5 | 0.1 | -0.5 | 0.6 | 1.8 |
| 2017 | -0.2 | -0.4 | 0.3 | -0.2 | 0.2 | -0.2 | 0.4 | -0.1 | 0 | -0.5 | -0.1 | 0 | -0.7 |
| 2018 | -0.1 | -0.6 | 0.6 | 0.7 | 0.3 | 0.2 | 0.5 | 0.5 | 0.3 | 0.7 | 0.2 | 0.5 | 3.7 |
| 2019 | 0.1 | -0.1 | -0.4 | 0.1 | 0.6 | -0.3 | 0.4 | -0.2 | 0.3 | -0.1 | 0.2 | 0 | 0.6 |
| 2020 | 0.2 | -1.6 | -3.8 | 0.6 | 0.2 | 0.5 | 0.8 | 0.6 | 1.3 | -0.6 | 0.4 | -0.1 | -1.6 |
| 2021 | -0.3 | 1.6 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
